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The impact of trading volume on stock return distributions : an empirical analysis


  • Tom Berglund

    (Research Institute of the Finnish Economy)

  • Eva Liljeblom

    (Swedish School of Economics and Business Administration)


This paper studies the relationship between the trading volume on the stock exchange and the properties of corresponding stock returns. The properties to be analyzed are: the dispersion of the returns, i.e. the volatility of the stock prices, the degree of leptokurtosis in the returns, and finally, the serial correlation in returns. The comparison of a low turnover with a high turnover period for the Helsinki Stock Exchange reveals that for the high turnover period the leptokurtosis of the return distributions is lower, as expected. Contrary to expectations stock price volatility is higher. Finally, on serial correlation the results are mixed, which can be explained by a non-linear pattern of serial correlation during the high turnover period. The results imply that considerable caution is warranted in empirical research which coverS substantial shifts in the level of trading activity on the exchange.

Suggested Citation

  • Tom Berglund & Eva Liljeblom, 1990. "The impact of trading volume on stock return distributions : an empirical analysis," Finnish Economic Papers, Finnish Economic Association, vol. 3(2), pages 108-124, Autumn.
  • Handle: RePEc:fep:journl:v:3:y:1990:i:2:p:108-124

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    References listed on IDEAS

    1. Goldman, M Barry & Beja, Avraham, 1979. "Market Prices vs. Equilibrium Prices: Returns' Variance, Serial Correlation, and the Role of the Specialist," Journal of Finance, American Finance Association, vol. 34(3), pages 595-607, June.
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    Cited by:

    1. Hans Dillen & Bo Stoltz, 1999. "The distribution of stock market returns and the market model," Finnish Economic Papers, Finnish Economic Association, vol. 12(1), pages 41-56, Spring.

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